Details about Cathy Ning

Access statistics for papers by Cathy Ning.

Last updated 2021-12-21. Update your information in the RePEc Author Service.

Short-id: pni130

Working Papers

2014

1. Is Volatility Clustering of Asset Returns Asymmetric?
   Working Papers, Ryerson University, Department of Economics
   See also Journal Article in Journal of Banking & Finance (2015)

2012

2. Asymmetric Dependence between Aggregate Consumption and Financial Risk
   Working Papers, Ryerson University, Department of Economics
3. Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve
   UiS Working Papers in Economics and Finance, University of Stavanger

2010

4. Asymmetric Dependence in US Financial Risk Factors?
   UiS Working Papers in Economics and Finance, University of Stavanger
5. Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data
   Working Papers, University of Waterloo, Department of Economics View citations (2)
   Also in Working Papers, Ryerson University, Department of Economics (2009) View citations (1)

2009

6. Extreme Dependence in International Stock Markets
   Working Papers, Ryerson University, Department of Economics View citations (12)
7. Segmentation across International Equity, Bond, and Foreign Exchange Markets
   Working Papers, Ryerson University, Department of Economics
8. The Dependence Structure of Macroeconomic Variables in the US
   UiS Working Papers in Economics and Finance, University of Stavanger View citations (1)
   Also in Working Papers, Ryerson University, Department of Economics (2009) View citations (1)

2008

9. Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach
   Working Papers, University of Waterloo, Department of Economics View citations (4)
   See also Journal Article in Finance Research Letters (2009)

Journal Articles

2022

1. A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles
   Journal of Forecasting, 2022, 41, (1), 118-133

2015

2. Is volatility clustering of asset returns asymmetric?
   Journal of Banking & Finance, 2015, 52, (C), 62-76 View citations (24)
   See also Working Paper (2014)

2010

3. Dependence structure between the equity market and the foreign exchange market-A copula approach
   Journal of International Money and Finance, 2010, 29, (5), 743-759 View citations (124)
4. The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach
   Canadian Journal of Economics, 2010, 43, (3), 1016-1039 View citations (31)
   Also in Canadian Journal of Economics/Revue canadienne d'économique, 2010, 43, (3), 1016-1039 (2010) View citations (11)

2009

5. Extreme return-volume dependence in East-Asian stock markets: A copula approach
   Finance Research Letters, 2009, 6, (4), 202-209 View citations (33)
   See also Working Paper (2008)

2008

6. Estimation of the stochastic conditional duration model via alternative methods
   Econometrics Journal, 2008, 11, (3), 593-616 View citations (15)
7. Modeling the leverage effect with copulas and realized volatility
   Finance Research Letters, 2008, 5, (4), 221-227 View citations (8)